thats quite a vague question with a larger range of answers, but, if you want to make a figure from scratch youll need a modelling putty (such as Milliput) and use that to sculpt a figure.

another route you could take is to convert existing figures by mixing parts from various kits and maybe sculpt some custom bits. again, the answer is a bit vague but theres a whole lot you could do, try looking up some tutorials on sculpting/converting figures. there are some books that other members here can lead you too as well!